Fitting the Term Structure of Interest Rates for Taiwanese Government Bonds Market Using Modified Linear Programming Model

• Main Authors: Feng Shih, 張峰碩
• Other Authors: Tu-Cheng Wu
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/89760593233450727887

碩士 === 義守大學 === 財務金融學系碩士班 === 94 === This paper fits the term structure of interest rates for Taiwanese Government bonds market by using Linear Programming model that Allen, Thomas, and Zheng (2000) proposed , and the observation date is 1996 to 1999. And sample is government bonds which interests is two times a year. This paper fits the term structure of interest rates for Taiwanese Government bonds market for stripping coupons with linear programming. And it is tries to compare with using linear interpolation method to adjust discount factor by nonlinear interpolation method. On the error respect, it is no divergence between nonlinear interpolation method and linear interpolation method. But the error of nonlinear interpolation method is 0.023508、0.028052、0.04269 , lower than linear interpolation method (0.02354、0.028223、0.04317) in 1996、1997、1999. Both nonlinear interpolation and linear interpolation are various on shapes, and it can catch most of all real situations. In fitting result, the lack of samples make the error be getting increase with time goes by. And samples have exceptional undulation at some periods; the error is higher than other time. But the two methods are all good in fitting result. Both they can control error in small range. Therefore, nonlinear interpolation method is also a feasible method relative to linear interpolation method